Моделирование изменения цены биржевого инструмента на базе микроструктурных рыночных данных // Modeling Stock Price Changes Based on Microstructural Market Data
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- Hoffmann, Peter, 2014. "A dynamic limit order market with fast and slow traders," Journal of Financial Economics, Elsevier, vol. 113(1), pages 156-169.
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Keywords
stock market trading; algorithmic trading; market microstructure; limit order book; machine learning; time series; investment; capital management; биржевая торговля; алгоритмическая торговля; микроструктурные рыночные данные; биржевая книга заявок; машинное обучение; временные ряды; инвестиции; управление капиталом;All these keywords.
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